HPL often makes the religious most susceptible to madness in his stories. They turn into absolute wrecks when confronted with things out of the ordinary. These things are not supernatural in nature and the person’s religious actions to protect them do not work. His creatures are natural but either ancient, alien, or trans-dimensional. So he is basing his monsters/creatures on science (or science fiction) that we don’t understand. The implication is that religious people are weak minded to start with.
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Yet many times he has people who were more rational and non-religious go to religious authority figures for help when strange things start to happen to them or around them. It is like he is saying that it is human nature to turn to religion when confronted by the unknown or the unknowable. Of course, anything suggested by or provided by these religious figures always fails. HPL’s views of religious are well known.
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His stories reflect a concept that those who are religious and depend on religion to start with are weak minded individuals but even those with stronger mental fortitude will turn to religion when faced with the unknown, that it is basic human nature. But since God doesn’t really exist, religion cannot solve the strange problems caused by life forms that science was unable to identify or that came from other places. But people’s reliance on religion makes using religion an easy way to take over a community in order to control people for ulterior goals.
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In fact, as I sit here running stories through my head, I can only think of one that uses a supernatural horror instead of one that could be considered natural if unknown or unearthly. That is Dreams in the Witch House. There may be others that I would find if I sat down and flipped through more stories. That’s just an off the top of my head recall.
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The fact that his horror seldom uses magical causes actually increases the horror. The idea that the world is much bigger and stranger than we can see in our ordinary reality and those things have no care for the structure of the world as we see it and have created it for ourselves is a more terrifying concept than supernatural horrors.